Rank: 127 based on 2409 downloads (last 30 days) and 8 files submitted
photo

Marcelo Perlin

E-mail
Company/University
UFRGS/Brazil - ICMA/UK

Personal Profile:

Hi, my name is Marcelo. Currently I'm a PhD student at ICMA/Reading (UK).

Some of my research papers can be found at SSRN:

http://ssrn.com/author=467401

The photo you're seeing is the sketch of a popular Brazilian singer from a band called "skank". Some people say I look like him.

Feel free to contact me at my email.

Professional Interests:
Financial Modelling

 

Watch this Author's files

 

Files Posted by Marcelo View all
  • 1 - 5 of
  • 8
Updated   File Tags Downloads
(last 30 days) 		Comments Rating
27 Oct 2009 Screenshot MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab Author: Marcelo Perlin markov switching, statistics, modeling, regression, analysis, optimization 485 22
  • 4.07692
4.1 | 14 ratings
22 May 2009 Screenshot Estimation and Simulation of ACD models in MatLab Functions and Scripts for Simulation and Estimation of ACD models Author: Marcelo Perlin acd models, finance, financial econometric..., analysis, point process, modeling 237 2
  • 5.0
5.0 | 2 ratings
10 May 2009 Screenshot Get Trading Data, from Yahoo, in your Matlab Workpace (or Excel) This package provides scripts and functions for downloading trading data from Yahoo server. Author: Marcelo Perlin equity, data import, statistics, trading data, yahoo, database 282 2
  • 5.0
5.0 | 1 rating
07 May 2009 Screenshot Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy over a matrix of prices. Author: Marcelo Perlin finance, quantitative strategy, pairs trading, modeling, analysis, financial modelling 473 12
  • 4.57143
4.6 | 7 ratings
09 Sep 2008 Screenshot Estimation and Simulation of State Space (Kalman Filter) Models with Matlab Functions and Scripts for Simulation and Estimation of State Space models Author: Marcelo Perlin analysis, modeling, statistics, probability, kalman filter, econometrics 296 3
  • 1.66667
1.7 | 3 ratings
Comments and Ratings by Marcelo View all
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  • 9
Updated File Comments Rating
29 Oct 2009 Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy over a matrix of prices. Author: Marcelo Perlin

Oi Felipe,

Agradeco pelo interesse no programa.
Favor entrar em contato pelo meu email.

Abraco.
Marcelo.
08 Aug 2009 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab Author: Marcelo Perlin

MehdiHK,

For A), from what you wrote it seems that the the transition matrix in the reference you used has a different notation than mine. In short, my transposed transition matrix will be equal to yours. Therefore, for my code, you should be looking at columns for the full process in each state (and not rows).

For B), I was not clear. I meant the decrease of one element in each state. So we agree.

Regards.
07 Aug 2009 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab Author: Marcelo Perlin

Dear MehdiHK, regarding your first comment, the way I coded the optimization problem was jsut a matter of simplicity in the algorithm. I'm fully aware that the search space could be decreased by one elemente by conducting it as a inequality optimization problem, as opposed to an equality one.

For your second comments, the p values of the coefficients are fine and so is the way I coded the transition matrix.
If you look closelly in MS_Regress_Fit, you'll see that I'm using constrained estimation so that the each column of Coeff.p is summing to 1, according to my choice of numerical convergence.

If you have any further question, feel free to drop me an email.
Marcelo.
03 Aug 2009 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab Author: Marcelo Perlin

Hi gajd, fell free to contact me in my email.
Cheers.
03 May 2009 Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy over a matrix of prices. Author: Marcelo Perlin

Hi V,

Thanks for you comment.

Sorry for the late reply. I just realized you comment on file.

Yes, this would speed up the algorithm, but, it also degenerates the Qdist matrix with respect of the infomration I need to find the pairs with the pairs(:,1)=n; command. .

So, I employed a quick fix based on your idea. See new updated file for details.

Again, thanks.
Cheers.
Marcelo.
Comments and Ratings on Marcelo's Files View all
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  • 51
Updated File Comment by Comments Rating
03 Nov 2009 Get Trading Data, from Yahoo, in your Matlab Workpace (or Excel) This package provides scripts and functions for downloading trading data from Yahoo server. Author: Marcelo Perlin Costola, Michele

Great Work!
Sorry for my question but where do you place the benchmark in the data?
29 Oct 2009 Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy over a matrix of prices. Author: Marcelo Perlin Perlin, Marcelo

Oi Felipe,

Agradeco pelo interesse no programa.
Favor entrar em contato pelo meu email.

Abraco.
Marcelo.
27 Oct 2009 Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy over a matrix of prices. Author: Marcelo Perlin Felipe

Ola Marcelo,
gostei muito do seu trabalho, e como trabalho no mercado, gostaria de saber mais sobre sua metodolgia de aplicacao. Como estou apenas comecando a me aprofundar nos estudos talvez precise de sua ajuda futuramente. Tenho interesse em aplicar seus estudos na pratica.
Se tiver interesse de discutir algumas ideias ficaria grato.

Obrigado,

Felipe
felipecfreitas@hotmail.com

23 Sep 2009 Get Trading Data, from Yahoo, in your Matlab Workpace (or Excel) This package provides scripts and functions for downloading trading data from Yahoo server. Author: Marcelo Perlin Teng, Ted

Great stuff, worked like a charm! thank you!!
19 Sep 2009 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab Author: Marcelo Perlin Hosseinkouchack, MehdiHK

Dear Marcelo,

I would like thank myself from your side for finding a little bug in your code. It is, however, excellent! I appreciate your efforts.

Best of Wishes
MehdiHK
Top Tags Applied by Marcelo
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finance, analysis, modeling, statistics, econometrics
Files Tagged by Marcelo View all
  • 1 - 5 of
  • 8
Updated   File Tags Downloads
(last 30 days) 		Comments Rating
27 Oct 2009 Screenshot MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab Author: Marcelo Perlin markov switching, statistics, modeling, regression, analysis, optimization 485 22
  • 4.07692
4.1 | 14 ratings
22 May 2009 Screenshot Estimation and Simulation of ACD models in MatLab Functions and Scripts for Simulation and Estimation of ACD models Author: Marcelo Perlin acd models, finance, financial econometric..., analysis, point process, modeling 237 2
  • 5.0
5.0 | 2 ratings
10 May 2009 Screenshot Get Trading Data, from Yahoo, in your Matlab Workpace (or Excel) This package provides scripts and functions for downloading trading data from Yahoo server. Author: Marcelo Perlin equity, data import, statistics, trading data, yahoo, database 282 2
  • 5.0
5.0 | 1 rating
07 May 2009 Screenshot Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy over a matrix of prices. Author: Marcelo Perlin finance, quantitative strategy, pairs trading, modeling, analysis, financial modelling 473 12
  • 4.57143
4.6 | 7 ratings
09 Sep 2008 Screenshot Estimation and Simulation of State Space (Kalman Filter) Models with Matlab Functions and Scripts for Simulation and Estimation of State Space models Author: Marcelo Perlin analysis, modeling, statistics, probability, kalman filter, econometrics 296 3
  • 1.66667
1.7 | 3 ratings
 

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